I had blogged earlier about the BuildTicker tool which sits on the system tray and notifies of builds happening on the server. I have received many requests to get this tool. So here it goes. Get the executable from here and the sources from here. Since I am no longer working on the TFS team you can consider this as my parting gift :)
How to use
However, I'd recommend that you use the Rss Feed generator and point a windows authentication capable feed-reader like RssBandit to it.